128. When calibrating these stress tests, institutions should take into account at least the nature …

When calibrating these stress tests, institutions should take into account at least the nature and characteristics of their portfolios and related financial instruments (e.g. vanilla/exotic products, liquidity, maturity), their trading strategies, and the possibility of, associated cost of and potential time involved in hedging out or managing risks under severe market conditions.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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